I made a Githyanki Priestess of Selune to see how Shadowheart reacted.
Not only was I disappointed that Shadowheart only reacted to my Gith heritage and ignored my deity choice but Lae'zel did not even notice that we are both followers of Selune.
Especially since I chose the option to let the party know I was a Priestess of Selune when both companions were in the party at that time.
Pretty sure Lae'zel is not a follower of Selune, though. She's pretty dogmatic about her devotion to Vlaakith.
She mentioned it in one of her dialogs I had with her that she is a member of Creche K'liir, followers of Selune.
I was surprised because she does mention Vlaakith an awful lot in other dialogs.
I believe it was a camp dialog although I'm not certain.
I always speak to each companion every time I go back to camp for a rest whether or not there is a (!) over their head or not.